OXARUS :: ENGINEERING
Backtesting, data pipelines and risk controls · Oxarus Quant
Pipelines that clean market data, tests purged of look-ahead bias and risk controls that protect live systems. We build them for institutions, too.
- unit
Quant
- path
- markdown
Interface data marked as representative is illustrative; it is not a real client, result or measurement.
Not investment advice. Trading in financial markets carries a risk of losing capital.
FROM DATA TO LIVE.
QUANT · ENGINEERING
Building systems that trade our own capital taught us what belongs in the infrastructure: pipelines that verify data, tests closed to look-ahead bias and risk controls that halt a live system when they have to.
- Tests guarded against look-ahead bias
- Verified against two independent data sources
- Automatic circuit breakers in production
- Data
- Test
- Live
REPRESENTATIVE INTERFACE DATA · Representative flow diagram.
- file
research-to-live
- tag
Representative flow
- data
Data
- test
Test
Live
Broker data
- detail
EURUSD · M1
Reference data
- detail
independent second source
Clean and compare
- detail
median diff 0.20 pip
Features
- detail
previous bar only
Backtest
- detail
hourly spread distribution
Walk-forward
- detail
unseen period
Risk gate
- detail
5 checks before every order
Live
- detail
order flow
Monitoring
- detail
event log and alerts
- bars
2.4M minutes
- delta
median diff 0.20 pip
- lookahead
look-ahead: 0
- breakers
5 circuit breakers armed
WHERE BACKTESTS GO WRONG.
TESTING
Most systems that look good on historical data are feeding on a flaw in the test itself. Pick one to see the flawed test, the corrected pipeline and the automated checks side by side.
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Look-ahead
- Flawed test
The day's close leaks into an intraday decision.
- Corrected pipeline
The read window ends before the current bar; anything after it is out of reach.
A value that's only known at the end of the day gets used during the day.
Every calculation draws only on the previous bar and earlier. We don't leave this to code review: by design, the data access layer can't see the future.
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Synthetic ticks
- Flawed test
A four-point synthetic path fills at prices that never traded.
- Corrected pipeline
The real tick path: every fill rests on a price that was actually seen.
Fake price paths generated from minute bars create fills that never happened.
We rerun critical results on real tick data and a second feed source.
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Overfitting
- Flawed test
One bright cell: results fall apart at neighboring settings.
- Corrected pipeline
A broad, stable region: the chosen setting's neighbors hold up too.
The best of hundreds of parameter combinations is picked and assumed to stay the best.
We choose parameters in one period and test them in a period they've never seen. Settings that don't hold at neighboring values are discarded.
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Survivorship
- Flawed test
A universe built from today's list never sees delisted instruments.
- Corrected pipeline
Every instrument trading on that date, including those removed later.
The test only uses instruments that still exist today.
The test universe is built from instruments that were actually available on that date.
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Unrealistic costs
- Flawed test
A fixed spread every hour: no session differences, no news widening.
- Corrected pipeline
Spread distribution by hour, with spikes around news preserved.
Spread, commission and slippage are assumed to be zero or fixed.
We use the real spread distribution by hour and session, including widening around news.
Audit suite
- count
{passed} / {total} passed
If any audit is red, the change does not merge into the main branch.
- run all
Run all
- queued
queued
- passed
passed
- pass
pass
- fail
fail
- representative
Representative output
TWO SOURCES, MINUTE BY MINUTE.
DATA
We compare the broker feed against an independent reference source, minute by minute. 1,721 shared trading days, 2.4 million shared minutes.
- Median
0.2
- 90th percentile
0.4
- 99th percentile
1.8
- Largest difference
16.8
- unit
pip
Most of the time, the difference is a fifth of a pip. That's why we can verify our results without depending on any single broker's data.
- overlay
Same minutes, two sources
- histogram
Distribution of minute-close differences
The shape of the distribution is representative; the marked percentiles and the largest difference are measured.
- histogram sample
n = 2.4M · square-root scale
- source a
Broker
- source b
Reference
- Shared trading days
1,721
- Shared minutes
2.4million
- Daily range difference, median
0.2pip
- representative
Representative path
- measured
measured
- jump max
Jump to the largest gap
- validated
validated
FIVE CHECKS BEFORE EVERY ORDER.
RISK
Every order the live system sends passes these checks. Trip one, then send a test order to see which check stops it.
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Daily loss limit
Intraday loss has hit the limit
No new trades open, open trades close according to the rules, and the system stays locked until the end of the day.
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Spread guard
Spread has widened to 4× normal
Pending orders are suspended, and no entries are made until the spread normalizes.
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News window
High-impact release within 10 minutes
No new trades open during the window, and stops are not widened.
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Connection loss
Server unresponsive for 20 seconds
No orders are sent until the connection is restored; on reconnect, positions are reconciled with the server.
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Exposure cap
Total risk in one currency is at the cap
No new positions involving that currency are opened.
- status
System status
- representative
Representative screen
Test order
Send an order through the gate and see which check passes and which one stops it.
- send
Send test order
- accepted
Order accepted
- rejected
Order rejected · {name}
- accepted count
accepted
- blocked count
blocked
WE BUILD IT FOR YOU, TOO.
INSTITUTIONAL
We build the infrastructure we run our own research and live systems on around your organization's data and processes.
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Data pipelines
Infrastructure that collects, cleans and stores price and news data from multiple sources.
Tools used
DELIVERABLES
- Source connectors and scheduled pulls
- Dual-source comparison and quality report
- Versioned, queryable data store
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Testing infrastructure
An environment where your team can test strategies free of look-ahead bias.
Tools used
DELIVERABLES
- Look-ahead-safe data access layer
- Walk-forward and parameter robustness reports
- Reproducible, containerized test environment
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MetaTrader 5 tooling
Robots, panels, bridges and reporting tools built for institutional use.
Tools used
DELIVERABLES
- Robot, panel and indicator development
- Bridges between MetaTrader 5 and external systems
- Source code and setup documentation
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Risk and monitoring dashboards
Dashboards that show account exposure, limits and system health on a single screen.
Tools used
DELIVERABLES
- Per-account exposure and limit view
- Circuit breaker states and event log
- Instant alerts on threshold breaches
- representative
Representative
LET'S BUILD YOUR INFRASTRUCTURE.
ENGINEERING
Tell us what you need, whether it's a data pipeline, a test environment or a risk dashboard, and we'll define the scope and approach together.
ACTIONS
DOCUMENTS
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- llms.txt
- agents.md
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